с 10.01.2012 по н.в.

График

Таблица

All trades                          Long trades        Short trades

Net Profit %                                       19.51 %                             7.87 %                   11.63 %

Exposure %                                       73.37 %                             29.49 %                 43.88 %

Net Risk Adjusted Return %            26.59 %                             26.70 %                 26.51 %

All trades                                          29                                       14 (48.28 %)         15 (51.72 %)

Avg. Bars Held                                 12.69                                  10.71                     14.53

Winners                                            29 (100.00 %)                   14 (48.28 %)         15 (51.72 %)

Avg. Profit %                                     0.67 %                                0.56 %                   0.78 %

# bars in largest win                         32                                       41                           32

Losers                                               0 (0.00 %)                          0 (0.00 %)             0 (0.00 %)

Max. trade % drawdown                   -0.55 %                              -0.39 %                  -0.55 %

Max. system % drawdown               -0.80 %                              -0.37 %                  -0.50 %

Recovery Factor                                20.62                                  20.11                     20.99

Ulcer Index                                         0.19                                    0.14                        0.11

Sharpe Ratio of trades                     77.76                                  93.01                     72.33

K-Ratio                                               0.3103                                0.2644                   0.2745